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Liquidity Contagion. The Emerging Sovereign Debt Markets example

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176.pdf (369.9Kb)
Date
2013
Indexation documentaire
Economie financière
Subject
Liquidity; Regime Switching models; Contagion Effects; Emerging Markets; Sovereign Debt Market; Liquidity Risk Management
Code JEL
G.G0.G01; G.G1.G15; C.C0.C01; C.C3.C32
Titre du colloque
30th International French Finance Association Conference
Ville du colloque
Lyon
Pays du colloque
FRANCE
URI
https://basepub.dauphine.fr/handle/123456789/11384
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  • DRM : Publications
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Auteur
Darolles, Serge
1032 Dauphine Recherches en Management [DRM]
Dudek, Jérémy
1032 Dauphine Recherches en Management [DRM]
Le Fol, Gaëlle
1032 Dauphine Recherches en Management [DRM]
Type
Communication / Conférence
Résumé en anglais
Financial markets are today so interconnected that they are fragile to contagion. Massive investment funds with very short horizons in -and out- flows can generate contagion effects between markets. Since 2010, investors are willing to get a liquid exposure to the EMsovereign debt. As a consequence, some asset management firms started to propose products to track the performance of this asset class. However in that case, the fund manager faces a mismatch of liquidity between assets and liabilities and needs some tools to manage the liquidity of his investments. The main contribution of this paper is the analysis of contagion looking at common market liquidity problems to detect funding liquidity problems. Using the CDS Bond Spread basis as a liquidity indicator and a state space model with time-varying volatility specification, we show that during the 2007-2008 financial crisis, there exist pure contagion effects both in terms of price and liquidity on the emergings overeign debt market.This result has strong implication since the main risk for an asset manager is to get stuck with an unwanted position due to a dry-up of market liquidity.

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